Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 20 19 20
Score 11.11 10.07 10.26
Market Cap (Millions USD) 23294.89 22355.33 21414.16
Predicted Beta 1.24 1.23 1.2
Idiosyncratic Volatility 0.89 1.36 1.55

Annualized return and volatility

XLK
Annualized Return 0.0372
Annualized Std Dev 0.2499
Annualized Sharpe (Rf=0%) 0.1489

Row

Daily Return Statistics

XLK
Observations 5112.0000
NAs 2.0000
Minimum -0.0865
Quartile 1 -0.0061
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0071
Maximum 0.1610
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0157
Skewness 0.4400
Kurtosis 7.8093

Downside Risk

XLK
Semi Deviation 0.0111
Gain Deviation 0.0118
Loss Deviation 0.0118
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.8205
Historical VaR (95%) -0.0254
Historical ES (95%) -0.0376
Modified VaR (95%) -0.0211
Modified ES (95%) -0.0211
From Trough To Depth Length To Trough Recovery
2000-03-28 2002-10-09 2017-03-01 -0.8205 4332 647 3685
2018-10-04 2018-12-24 2019-04-03 -0.2378 126 57 69
2000-01-04 2000-01-28 2000-02-10 -0.1172 27 18 9
2019-04-25 2019-06-03 2019-06-20 -0.1046 41 28 13
2018-01-29 2018-02-08 2018-02-26 -0.1038 20 9 11

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec XLK
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 2.1 1.0 0.0 1.4 4.5 0.0 -1.2 0.1 0.0 -1.9 1.3 0 7.4
2001 -0.1 2.8 0.0 2.4 1.7 0.0 2.7 0.0 -1.3 3.5 0.0 0 12.2
2002 -1.9 5.0 1.1 -0.8 0.0 -4.2 -4.4 0.0 5.4 3.0 0.0 0 2.7
2003 0.0 0.0 1.2 1.0 0.0 1.4 -0.5 0.0 2.2 0.0 1.0 0 6.4
2004 0.0 1.2 1.0 0.0 -0.7 -1.8 0.0 0.8 2.5 0.8 2.0 0 5.9
2005 0.6 1.2 -0.9 0.0 1.0 0.3 0.0 -0.2 0.0 -0.2 1.5 0 3.3
2006 0.6 2.0 0.0 -0.8 1.7 0.0 -1.4 0.4 0.0 -0.4 -0.9 0 1.2
2007 -0.4 -0.1 0.0 0.5 0.0 0.0 1.0 0.0 1.1 -1.1 0.0 0 0.9
2008 1.7 0.0 2.9 4.2 0.0 -0.7 -1.1 0.0 -0.9 0.0 -7.2 0 -1.5
2009 0.0 0.0 2.8 1.3 2.8 0.4 0.0 -2.0 -3.0 0.0 1.6 0 3.9
2010 1.1 1.3 -0.2 0.0 -1.0 -0.4 0.0 2.6 0.0 0.1 2.1 0 5.8
2011 1.7 -1.9 -0.2 0.0 -2.1 1.6 -0.1 -1.1 0.0 -2.8 0.5 0 -4.3
2012 1.0 0.6 0.0 0.3 -2.6 0.0 -0.3 0.0 -0.2 1.6 0.0 0 0.3
2013 1.1 0.2 -0.7 -0.9 0.0 0.5 1.1 0.0 0.9 0.0 0.0 0 2.3
2014 0.0 0.0 1.2 0.1 0.0 1.0 -0.5 0.0 -1.6 0.0 -1.1 0 -0.9
2015 0.0 0.0 -0.1 1.2 0.3 0.7 0.0 -3.2 0.1 0.0 0.9 0 -0.3
2016 0.4 3.0 0.8 0.0 -0.2 0.2 0.2 0.3 0.0 -0.9 -2.1 0 1.6
2017 0.8 1.4 0.0 0.8 0.2 0.0 0.5 -0.1 0.0 0.0 -0.5 0 3.1
2018 0.1 -1.7 0.0 1.3 1.7 0.0 0.9 0.0 0.5 1.2 0.0 0 4.0
2019 0.6 0.7 1.4 -0.3 0.0 1.6 -0.5 0.0 -0.9 1.2 0.0 0 3.8

Row

Rolling Performance Chart

Snail Trail Chart